Causality Nexus Between Volatility, Liquidity and Foreign Ownership: Evidence from Borsa Istanbul

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dc.authoridhttps://orcid.org/0009-0000-6540-2228
dc.contributor.authorBentürk, Mehmet
dc.date.accessioned2025-08-12T11:40:39Z
dc.date.available2025-08-12T11:40:39Z
dc.date.issued2025
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesi
dc.description.abstractThis study examines the causal relationship among volatility, liquidity, and foreign stock ownership in the Borsa Istanbul stock market, both frm and market level. The Granger causality tests, along with the Toda and Yamamoto (J Econometr 66:225– 250, 1995) method at the frm level and the Dumitrescu and Hurlin (Econ Model 29:1450–1460, 2012) modifcation at the market level, show the existence of a bidirectional causal relationship between volatility and liquidity, which is also validated with the volatility and liquidity estimations in the GMM model. Dumitrescu and Hurlin’s (Econ Model 29:1450–1460, 2012) causality tests indicate a causal relationship from foreign ownership to both volatility and liquidity, whereas the GMM estimates only confrm the causal relationship from foreign ownership to volatility.
dc.identifier.doi10.1007/s40953-025-00446-w
dc.identifier.issn0971-1554
dc.identifier.issn2364-1045
dc.identifier.urihttps://hdl.handle.net/11363/10262
dc.identifier.wos001446099200001
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.institutionauthorBentürk, Mehmet
dc.institutionauthoridhttps://orcid.org/0009-0000-6540-2228
dc.language.isoen
dc.publisherSPRINGER, ONE NEW YORK PLAZA, SUITE 4600 , NEW YORK, NY 10004, UNITED STATES
dc.relation.ispartofJOURNAL OF QUANTITATIVE ECONOMICS
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectConditional volatility
dc.subjectForeign ownership
dc.subjectGranger causality
dc.subjectGMM
dc.subjectLiquidity
dc.subjectRealized volatility
dc.titleCausality Nexus Between Volatility, Liquidity and Foreign Ownership: Evidence from Borsa Istanbul
dc.typeArticle

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